SStudyAcademic Library

Dashboard Shelves Open access My library Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Numerical valuation of options with jumps in the underlying · Study

ArticleShelves

ArticleNumerical valuation of options with jumps in the underlying

Ariel Almendral2004

Article2004

Numerical valuation of options with jumps in the underlying

Ariel Almendral · Cornelis W. Oosterlee

162 citations·0/0 files stored·Applied Numerical Mathematics

No readable copy stored yet — this record is metadata only.

Stochastic processes and financial applications Differential Equations and Boundary Problems Fractional Differential Equations Solutions

Abstract

No abstract was published for this record.

Citations in this library

Stored only when both papers are in the corpus — 162 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1976Option pricing when underlying stock returns are discontinuous 1987The Pricing of Options on Assets with Stochastic Volatilities 1979Martingales and arbitrage in multiperiod securities markets 1981Martingales and stochastic integrals in the theory of continuous trading 1999Option valuation using the fast Fourier transform 1998Methods of Mathematical Finance

Cited by

2008Fourier space time-stepping for option pricing with Lévy models 2007Efficient solution of a partial integro-differential equation in finance 2008Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model 2011A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models 2019On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance 2014An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps 2011An Iterative Method for Pricing American Options Under Jump-Diffusion Models 2007Robust numerical valuation of European and American options under the CGMY process

Details

Year2004

Typearticle

Published2004-12-15

VenueApplied Numerical Mathematics

ISSN-L0168-9274

Languageen

Citations162

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.apnum.2004.08.037

openalex_workW2115086321

Links

Imported from OpenAlex (CC0) — nothing here is generated.